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WebObjects provides direct support for storing state in the application and in the page. However, you can also implement your own state storage---for example, you might want to use a database or Netscape "cookies" to store state. Cookies are used to store state in the client. They have all of the advantages of WebObjects' "state in the page" solution, and some additional ones, such as working with hyperlinks and frames.
You can either implement a simple custom solution (for example, your application could maintain a session state instance variable and restore it in awake), or you can base your approach on WOApplication's state handling API.